Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 1 | 1 | 1 |
| Score | -4.68 | -4.96 | -6.7 |
| Market Cap (Millions USD) | 254.06 | 233.01 | 235.01 |
| Predicted Beta | 0.21 | 0.19 | 0.21 |
| Idiosyncratic Volatility | 2.17 | 1.76 | 2.59 |
Annualized return and volatility
| EWI | |
|---|---|
| Annualized Return | 0.0137 |
| Annualized Std Dev | 0.2744 |
| Annualized Sharpe (Rf=0%) | 0.0498 |
Row
Daily Return Statistics
| EWI | |
|---|---|
| Observations | 5112.0000 |
| NAs | 2.0000 |
| Minimum | -0.1495 |
| Quartile 1 | -0.0077 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0087 |
| Maximum | 0.1528 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.1160 |
| Kurtosis | 6.7023 |
Downside Risk
| EWI | |
|---|---|
| Semi Deviation | 0.0125 |
| Gain Deviation | 0.0121 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0170 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.7038 |
| Historical VaR (95%) | -0.0271 |
| Historical ES (95%) | -0.0417 |
| Modified VaR (95%) | -0.0265 |
| Modified ES (95%) | -0.0435 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-08 | 2009-03-09 | NA | -0.7038 | 3238 | 474 | NA |
| 2001-01-19 | 2001-09-21 | 2004-02-11 | -0.4465 | 784 | 170 | 614 |
| 2000-02-24 | 2000-10-18 | 2000-12-28 | -0.2163 | 218 | 169 | 49 |
| 2006-05-11 | 2006-06-13 | 2006-08-29 | -0.1133 | 78 | 23 | 55 |
| 2004-02-12 | 2004-03-24 | 2004-07-07 | -0.0989 | 101 | 29 | 72 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.8 | 0.5 | 0.0 | 0.5 | 1.3 | 0.0 | -0.8 | 2.8 | 0.0 | 0.3 | -1.9 | 0.0 | 3.5 |
| 2001 | 0.7 | 0.2 | 0.0 | 0.9 | -1.0 | 0.0 | 0.0 | 0.0 | -2.0 | 1.0 | 0.0 | 0.0 | -0.2 |
| 2002 | 0.3 | -0.3 | 1.1 | 1.6 | 0.0 | 1.7 | -2.0 | 0.0 | 0.8 | -0.6 | 0.0 | 0.0 | 2.6 |
| 2003 | 0.0 | 0.0 | 0.9 | 0.0 | 0.0 | -1.6 | -0.4 | 0.0 | 1.8 | 0.0 | 2.4 | 0.0 | 3.2 |
| 2004 | 0.0 | 1.5 | 0.9 | 0.0 | 0.3 | -0.6 | 0.0 | 0.9 | 2.0 | -0.2 | 1.8 | 0.0 | 6.8 |
| 2005 | 1.0 | -0.5 | -0.8 | 0.0 | 0.4 | -0.8 | 0.7 | 1.5 | 0.0 | -0.2 | 1.2 | 0.0 | 2.6 |
| 2006 | 0.1 | 0.4 | 0.0 | -0.5 | 0.9 | 0.0 | -0.4 | 0.5 | 0.0 | 0.1 | -0.5 | 0.0 | 0.5 |
| 2007 | -0.2 | -1.8 | 0.0 | 0.1 | -0.7 | 0.0 | 0.5 | 0.0 | 2.2 | -2.8 | 0.0 | 0.0 | -2.7 |
| 2008 | 0.1 | 0.0 | 2.4 | 0.7 | 0.0 | -1.0 | -0.8 | 0.0 | 0.6 | 0.0 | -9.2 | 0.0 | -7.4 |
| 2009 | 0.0 | 0.0 | 1.7 | 2.1 | 2.4 | 1.5 | 0.0 | -3.0 | -2.8 | 0.0 | 2.7 | 0.0 | 4.3 |
| 2010 | 2.4 | 0.5 | 2.0 | 0.0 | -2.6 | 2.9 | 0.0 | 4.3 | 0.8 | -1.8 | 4.0 | 0.0 | 13.0 |
| 2011 | 3.3 | -1.8 | 0.7 | 0.0 | -2.7 | 1.6 | -3.6 | -1.6 | 0.0 | -7.0 | -0.5 | 0.0 | -11.4 |
| 2012 | 2.2 | 3.3 | 0.0 | 0.5 | -1.6 | 0.0 | 0.0 | 0.0 | 2.0 | 1.9 | 0.0 | 0.0 | 8.5 |
| 2013 | 0.6 | -1.5 | -1.4 | -1.4 | 0.0 | 1.6 | 2.3 | 0.0 | 2.5 | -1.4 | 0.0 | 0.0 | 1.3 |
| 2014 | 0.0 | 0.0 | 1.4 | -0.1 | 0.0 | 1.4 | -0.6 | 0.0 | -1.3 | 0.0 | -0.9 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | 1.3 | 1.5 | -0.4 | 1.3 | 0.0 | -2.6 | -0.3 | 0.0 | 0.2 | 0.0 | 1.0 |
| 2016 | -0.3 | 3.5 | -1.3 | 0.0 | -0.6 | -0.3 | -2.2 | 0.7 | 0.0 | -1.0 | 1.1 | 0.0 | -0.5 |
| 2017 | 0.0 | 1.6 | 0.0 | 0.5 | 1.3 | 0.0 | 0.4 | 0.5 | 0.0 | 0.5 | -0.5 | 0.0 | 4.4 |
| 2018 | 1.2 | -0.4 | 0.0 | -0.4 | 0.2 | 0.0 | -2.0 | 0.0 | -0.6 | 2.0 | 0.0 | 0.0 | -0.2 |
| 2019 | -0.8 | 0.6 | 1.0 | -0.8 | 0.0 | -0.7 | -0.4 | 0.0 | -1.0 | 1.2 | 0.0 | -0.4 | -1.2 |
Row
Rolling Performance Chart
Snail Trail Chart
